AutoCAD is a multiple document hosting application (Although it can still be set to single document mode, but it is due to the history). If I am your user, I'd be very annoyed, whenever I switch active drawing I'd be forced answer Yes/No, even I do not intent to close a drawing. Not to mention how user would be frustrated when your program prevent new drawing being opened.
Your problem is that you use a UI component (palette) for both user interaction and data holding, which is not a good practice. You should separate your app into layers/components, each plays diferent roles ("separating concerns" in software develoment term). As Tony suggested, if you create a data model for each document, which syncs with the UI (palette), then the UI is free to switch. And you only ask user YES?NO for saving changes when it is needed (i.e. if user is to close the drawing). The data component stays in the memory and being upated with user palette. You can choose to persist the change into drawing database, if the data is about the drawing, just as the Properties palette does, or you can let it stay in memory and only choose persist it or discard it when user is to save/close the drawing.